文章基本信息

标题：On the estimation of the volatility-growth link
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作者：Andrey LAUNOV ; Olaf POSCH ; Klaus WÄLDE 等
期刊名称：Discussion Paper / Département des Sciences Économiques de l'Université Catholique de Louvain
印刷版ISSN：1379-244X
出版年度：2012
卷号：1
出版社：Université catholique de Louvain
摘要：It is common practice to estimate the volatility-growth link by specifying a standard growth equation such that the variance of the error term appears as an explanatory variable in this growth equation. The variance in turn is modelled by a second equation. Hardly any of existing applications of this framework includes exogenous controls in this second variance equation. Our theoretical ndings suggest that the absence of relevant explanatory variables in the variance equation leads to a biased and inconsistent estimate of the volatility-growth link. Our simulations show that this e¤ect is large. Once the appropriate controls are included in the variance equation consistency is restored. In short, we suggest that the variance equation must include relevant control variables to estimate the volatility-growth link.
关键词：volatility and growth; growth regression; endogenous variance;unbiased estimates